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This study applies a quantile cointegration model to investigate if COVID-19 outbreaks in the BRICS (China, India, Russia, Brazil, and South Africa) and the United States have a long-run equilibrium relationship with the dynamics of oil prices. (1) The standard cointegration models are unstable, indicating the possibility of structural breaks and nonlinearity in the relationship between the COVID-19 pandemic and oil prices; (2) The results of the quantile cointegration model suggest the COVID-19 pandemic and oil prices are nearly cointegrated over whole quantiles of the oil price distribution for the United States, Russia, South Africa, and Brazil. However, the long-run equilibrium relationship between the COVID-19 pandemic and oil prices in China is more likely to occur in the lower quantiles of the oil price distribution; (3) For India, the equilibrium link exists only across the two higher quantiles (0.7 and 0.8 quantiles) of the oil price distribution. Finally, our research has significant policy implications for the governments of the world's largest countries that are concerned about the impact of the COVID-19 pandemic outbreak on oil prices. [ABSTRACT FROM AUTHOR]

We investigate whether bilateral exports of goods flowing from Vietnam to its 46 top trading partners are affected by corruption over the period 2000–2014. We capture the effects of corruption of Vietnam and her trade partners, separately using the corruption perception index (CPI) developed by Transparency International. The CPI captures both bureaucratic and political corruption perceptions. Our key results are as follows. We find that corruption in Vietnam has discouraged its bilateral export flows. The negative effect of corruption is highly significant in the long-run. In driving Vietnam's exports, perceptions of corruption in Vietnam are found to be more potent than perceptions in importer countries. We find that the sign effects of corruption in Vietnam or trading partner countries (or importers) are not dependent on whether trading partners are developed or developing. However, we do find that corruption discourages developing countries more than developed countries from importing goods from Vietnam. We confirm the robustness of our results using the control of corruption (COC) measure of corruption extracted from the World Bank Database. [ABSTRACT FROM AUTHOR]

While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns. [ABSTRACT FROM PUBLISHER]

In this article, we model the determinants of spread for 734 firms listed on the NYSE over the period 1 January 1998 to 31 December 2008. We propose a panel data model of the determinants of spread. There are four main messages emerging from our work. We find a statistically significant effect of volume on spread inconsistent with the work of Johnson (2008). On price, we find mixed results, consistent with the literature. On the effect of price volatility on spread, our results are completely the opposite of the cross-sectional literature but sides with the relatively recent work of Chordiaet al.(2001). We allow for persistence of spread as a determinant of spread and find significant evidence of spread persistence across all 16 sectors. Finally, we examine size effects and find statistically strong evidence of size effects based on the relationship between price and spread, persistence and spread, and volatility and spread. [ABSTRACT FROM AUTHOR]

We conduct predictability tests for selected Asian stock markets using monthly data from the period March 2001–April 2012. Asian market bears and returns are predicted using the U.S. stock market bears and returns. A two-state Markov-switching model is employed to distinguish between the bull and bear regimes in the U.S. and Asian stock markets. The in-sample predictability analysis suggests that the U.S. market returns and bears are important predictors of Asian market returns and some Asian bears. The out-of-sample predictability exercise is not able to reinforce the in-sample results, which is in large part due to the small forecasting sample size. [ABSTRACT FROM AUTHOR]

In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the psychological barrier effect induced by the oil price on firm returns when the oil price reaches US$100 or more per barrel. We find evidence of the negative effect of the US$100 oil price barrier for: (a) the entire sample of 1559 firms listed on the American stock exchanges; (b) both foreign and domestic firms, with domestic firms significantly more affected; (c) the 10 different sizes of firms, with the smaller firms less affected compared to the larger firms; and (d) 17 sectors of firms, with firms in the utilities, mining, and administration sectors being the least affected. [ABSTRACT FROM AUTHOR]

We examine the determinants of stock prices for major Indian banks using panel data modeling techniques. Our work is novel because, for the first time in the literature on Indian banking, we use a panel Granger causality test that reveals the direction and sign of causality. We find evidence of panel cointegration among stock prices, economic activity, interest rates, and exchange rates for thirteen banks. Our results suggest that while economic activity and currency depreciation contribute to a rise in share prices, an increase in the interest rate reduces bank share prices. Moreover, only economic activity Granger-causes stock prices in the long run. [ABSTRACT FROM AUTHOR]

This article examines whether real Health-care Expenditure (HE) is a luxury or necessity for Organization for Economic Co-operation and Development (OECD) countries over the period 1972 to 2004 within a panel unit root and panel cointegration framework. To realize this objective, we regress HE on real Gross Domestic Product (GDP), the proportion of the population aged over 65 (P65) and a time trend (T). We first present results for 18 countries where real HE per capita is obtained using a general GDP deflator. For these countries, we find that health care is a luxury for just one country. Next, we present results for eight countries where real HE is obtained using a specific health-care price index. When the general GDP deflator is replaced with a specific health-care price index, at least one of the GDP, P65 or T coefficients for the eight countries changes in a reasonably dramatic fashion, suggesting that the use of the GDP deflator introduces bias into the regression. We find that HE is a necessity in all eight countries. Given that the reliability of the GDP deflator results is questionable, on the basis of the results for the eight countries, we conclude that HE is a necessity. [ABSTRACT FROM AUTHOR]

There is a large literature that tests the univariate time series properties of the real output series following the seminal work of Nelson and Plosser (1982). Whether or not real output is characterized by a unit root process has important implications. A unit root in real output, for instance, is inconsistent with the notion that business cycles are stationary fluctuations around a deterministic trend. In this paper, we investigate the univariate time series properties of real output for 79 developing countries using the conventional augmented Dickey and Fuller (1979) unit root test, the Zivot and Andrews' (1992) one structural break unit root test, and the Lumsdaine and Papell (1997) two structural breaks unit root test. Our main finding is that, for 40 countries, real output is stationary around a trend. This indicates that business cycles are stationary fluctuations around a deterministic trend for only 51% of the developing countries in our sample. [ABSTRACT FROM AUTHOR]

In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary process. We find that (1) conventional univariate unit root tests without any structural breaks generally reveal that the inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the inflation rate for panels consisting of countries which were declared nonstationary by univariate tests. [ABSTRACT FROM AUTHOR]

In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility. [ABSTRACT FROM AUTHOR]

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found mixed evidence on PPP. The goal of this article is to obviate existing tensions in the PPP literature by using a simple test for cointegration between nominal exchange rate and relative prices that accounts for multiple structural breaks. We find that for 14 out of 15 OECD countries, there is evidence of a cointegration relationship between nominal exchange rate and relative prices at the 5% level. Only for Japan, we find evidence for cointegration at the 2.5% level. These results suggest overwhelming evidence of support for PPP for the OECD countries. [ABSTRACT FROM AUTHOR]

Fiji's total debt stands at 65% of GDP. Domestic debt constitutes 55% of GDP. The goal of this paper is to investigate whether military expenditure has contributed to Fiji's exploding debt levels over the period 1970 to 2005. Our empirical analysis, conducted within a cointegration and vector error-correction framework, suggests that, in the long-run, military expenditure has had a statistically significant positive impact on both external debt and domestic debt, while income has had a statistically significant positive impact on domestic debt and a statistically significant negative impact on external debt. We explain the reasons behind this finding and draw some policy implications. [ABSTRACT FROM AUTHOR]

Devaluation has been traditionally promoted as an effective tool for increasing exports and improving the external position of the devaluing country if a nominal devaluation results in expenditure switching. In this article, our aim is to model the relationship between currency devaluations and output for Fiji. Following the approach in Bahmani et al. (2002), we extend the traditional model by incorporating other monetary and fiscal policy variables. We achieve our goal by using the recently developed bounds testing approach to cointegration and the autoregressive distributed lag model and find that devaluation is expansionary in the case of Fiji. [ABSTRACT FROM AUTHOR]

In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis-à-vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity. [ABSTRACT FROM AUTHOR]

For robust policymaking and econometric modelling, it is essential to know whether macroeconomic aggregates contain asymmetric behaviour. The aim of this note is to investigate asymmetries in Singapore's macroeconomic aggregates using the Randles et al. (1980) Triples test. We examine both deepness and steepness asymmetries, and find that for Consumer Price Index (CPI) and unemployment rate there is evidence for deepness asymmetry. On the basis of this finding, we caution policymakers. [ABSTRACT FROM AUTHOR]

The relationship between government revenue and government expenditure has attracted a lot of interest given its policy relevance, particularly with respect to budget deficits. The goal of this paper is to investigate evidence for causality between government revenue and government expenditure within a multivariate framework by modelling them together with gross domestic product for 12 developing countries. Our application of the Toda and Yamamoto (1995) test for Granger causality reveals support for the tax-and-spend hypothesis for Mauritius, El Salvador, Haiti, Chile and Venezuela. For Haiti, there is evidence for the spend-and-tax hypothesis, while for Peru, South Africa, Guatemala, Uruguay and Ecuador there is evidence of neutrality. [ABSTRACT FROM AUTHOR]

The aim of this article is to investigate whether there is a long-run relationship (cointegration) between exports and imports for 22 least developed countries (LDCs). This is an important issue, for evidence of cointegration will ensure that trade imbalances are sustainable. The article explores this issue using the bounds testing approach to cointegration. The results indicate that exports and imports are cointegrated only for six out of the 22 countries, and the coefficient on exports is less than one. [ABSTRACT FROM AUTHOR]

This article provides new evidence on both long run and short-run determinants of trade balance for Fiji and investigates evidence of J-curve adjustment behaviour in the aftermath of a devaluation. We adopt a partial reduced form model that models the real trade balance directly as a function of the real exchange rate and real domestic and foreign incomes. Cointegration analysis is based on a recently developed autoregressive distributed lag approach—shown to provide robust results infinite samples. The long run elasticities are also estimated using a dynamic ordinary least squares approach and the Fully Modified Ordinary Least Squares (FM-OLS) approach. Amongst our key results we find that there is a long-run relationship between trade balance and its determinants. There is evidence of the J-curve pattern; growth in domestic income affects Fiji's trade balance adversely while foreign income improves it. [ABSTRACT FROM AUTHOR]